A procedure in derivatives trading whereby a broker instructs the custodian to allocate a derivative trade to another account than...

A procedure in derivatives trading whereby a broker instructs the custodian to allocate a derivative trade to another account than...

The greeks of exotic derivatives- such as exotic options, exotic swaps, etc. Greexotics (or exotic greeks) measure the sensitivity of...

A topography report that shows the stability of a position with the passage of time, in an environment characterized by...

An option pricing model that is designed to measure the change in the price of an option as a result...

An option pricing model which assumes that the evolution of the underlying asset return follows the generalized autoregressive conditional heteroskedastic...

A form of gamma that measures the effect of change in delta cash in relative terms. Instead of absolute movements...

A third-order greek that measures the rate of change in the option gamma in response to a change in the...

A variation on variance swaps which weights the periodic squared return of the underlying by the ratio of current price to initial...

A market phenomenon that comes into play when dealers in CMS spread range accrual structures (CRANS) go from exposure being relatively flat...